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Multi-target tracking (MTT) serves as a cornerstone technology in information fusion, yet faces significant challenges in robustness and efficiency when dealing with model uncertainties, clutter interference, and target interactions.…
We derived a number of numerical methods to treat biomolecular systems with multiple time scales. Based on the splitting of the operators associated with the slow-varying and fast-varying forces, new multiple time-stepping (MTS) methods are…
Finite mixtures of matrix normal distributions are a powerful tool for classifying three-way data in unsupervised problems. The distribution of each component is assumed to be a matrix variate normal density. The mixture model can be…
We investigate weighted settings of popular matching problems with matroid constraints. The concept of popularity was originally defined for matchings in bipartite graphs, where vertices have preferences over the incident edges. There are…
Multiple hypothesis testing is widely used to evaluate scientific studies involving statistical tests. However, for many of these tests, p-values are not available and are thus often approximated using Monte Carlo tests such as permutation…
Particle MCMC is a class of algorithms that can be used to analyse state-space models. They use MCMC moves to update the parameters of the models, and particle filters to propose values for the path of the state-space model. Currently the…
We consider the problem of sampling from a density of the form $p(x) \propto \exp(-f(x)- g(x))$, where $f: \mathbb{R}^d \rightarrow \mathbb{R}$ is a smooth and strongly convex function and $g: \mathbb{R}^d \rightarrow \mathbb{R}$ is a…
Multi-task learning (MTL) considers learning a joint model for multiple tasks by optimizing a convex combination of all task losses. To solve the optimization problem, existing methods use an adaptive weight updating scheme, where task…
A Bayesian filtering algorithm is developed for a class of state-space systems that can be modelled via Gaussian mixtures. In general, the exact solution to this filtering problem involves an exponential growth in the number of mixture…
We develop an algorithm for automatic differentiation of Metropolis-Hastings samplers, allowing us to differentiate through probabilistic inference, even if the model has discrete components within it. Our approach fuses recent advances in…
We introduce Masked Trajectory Models (MTM) as a generic abstraction for sequential decision making. MTM takes a trajectory, such as a state-action sequence, and aims to reconstruct the trajectory conditioned on random subsets of the same…
Mixture models are a fundamental tool in applied statistics and machine learning for treating data taken from multiple subpopulations. The current practice for estimating the parameters of such models relies on local search heuristics…
Metropolis-Hastings estimates intractable expectations - can differentiating the algorithm estimate their gradients? The challenge is that Metropolis-Hastings trajectories are not conventionally differentiable due to the discrete…
We present several implementations of the Metropolis method, an adaptive Monte Carlo algorithm, which allow for the calculation of multi-dimensional integrals over arbitrary on-shell four-momentum phase space. The Metropolis technique…
Since its inception the Metropolis-Hastings kernel has been applied in sophisticated ways to address ever more challenging and diverse sampling problems. Its success stems from the flexibility brought by the fact that its verification and…
Markov chain Monte Carlo (MCMC) methods are one of the most popular classes of algorithms for sampling from a target probability distribution. A rising trend in recent years consists in analyzing the convergence of MCMC algorithms using…
This paper presents an algorithm for sampling random variables that allows to separation of the sampling process into subproblems by dividing the sample space into overlapping parts. The subproblems can be solved independently of each other…
Bayesian regression trees are flexible non-parametric models that are well suited to many modern statistical regression problems. Many such tree models have been proposed, from the simple single- tree model to more complex tree ensembles.…
Markov Chain Monte Carlo (MCMC) algorithms are commonly used for their versatility in sampling from complicated probability distributions. However, as the dimension of the distribution gets larger, the computational costs for a satisfactory…
The Metropolis algorithm (MA) is a classic stochastic local search heuristic. It avoids getting stuck in local optima by occasionally accepting inferior solutions. To better and in a rigorous manner understand this ability, we conduct a…